Main
Shih-Sheng Chang
Education
MSc Candidate, Quantitative Economics
Christian-Albrechts-Universität zu Kiel
Kiel, Germany
Current - 2019
- Provisional Grade: 1.3 in German scale
- Focused on statistics, econometrics, and statistical learning
MSc, Quantitative Finance
Christian-Albrechts-Universität zu Kiel
Kiel, Germany
2021 - 2018
- Overall Grade: 1.6 in German scale
- Thesis: Multi-Asset Option Pricing under the Bates Model
- Focused on derivative pricing, risk management, and financial engineering
BSc, Quantitative Finance (minor Economics)
National Tsing Hua University
Hsinchu, Taiwan
2018 - 2015
- Overall GPA: 4.22/4.3 (equivalent to 1.0 in German scale)
Study in Mathematics
National Central University
Taoyuan, Taiwan
2015 - 2014
- Overall Average: 83/100
Research Experience
“I was simply amazed by how he raised quite a few essential questions and solved them with and sometimes without his teammates’ help.” — Supervisor
Student Research Assistant
Chair Prof. Dr. Ching-Fan Chung’s Lab
National Tsing Hua University
2018 - 2017
- Cleaned and analyzed large data sets with Excel and R using data mining methods to construct statistical models
- Developed econometric models to quantify the economic factors in global stock and bond markets
- Mainly related to Receiver Operating Characteristic analysis, variable ordinalization, logistic regression, stepwise regression, credit scoring, and model assessment
Industry Experience
“His logical and cordial manner greatly speed the project progress, since he could mitigate the gap of different parties’ opinions by creative ideas accompanied with satisfactory statistical results.” — Supervisor
Research Assistant Intern
Eastspring Investments, Asset Management Company of Prudential plc (UK)
Taipei, Taiwan
2018 - 2017
- Industry-University Cooperative Research Project with Prof. Dr. Ching-Fan Chung’s Lab
- Analyzed strategies of quantitative global asset allocation to assist investment decision and product development
- Built R Shiny dashboards to visualize the model performance and backtesting results
Honor Awards
Academic Achievement Award
~ 300 EUR
National Tsing Hua University
2018 - 2015
- Five times awarded
- Top 5% of the class in the semester
Academic Achievement Award
~ 150 EUR
National Central University
2015 - 2014
- Top 5% of the class in the semester
Works on Github
Multi-Step-Ahead Analytic Moments of Mixed Normal GARCH(1,1)
N/A
N/A
2021 - 2021
- Codes of the multi-step-ahead analytic moments of Mixed Normal GARCH(1,1) model derived by Haas (2019)
- Applied to the method of Alexander et al. (2013) for computing multi-step-ahead risk estimates
Bates Multi-Asset Quadratic Exponential (MQE) Scheme
N/A
N/A
2021 - 2020
- Extended the Heston MQE scheme proposed by de Innocentis et al. (2016) to the Bates (1996) stochastic-volatility jump-diffusion model
- Along with applications of multi-asset option pricing